PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 377(2) 599-615 2007年4月 [査読有り]
We propose a method from the viewpoint of deterministic dynamical systems to investigate whether observed data follow a random walk (RW) and apply the method to several financial data. Our method is based on the previously proposed small-shuffle s...
We describe a method for identifying random walks. This method is based on the previously proposed small shuffle surrogate method. Hence, our method does not depend on the specific data distribution, although previously proposed methods depend on ...
Jie Zhang Xiaodong Luo Tomomichi Nakamura Junfeng Sun Michael Small
PHYSICAL REVIEW E 75(1) 016218 2007年1月 [査読有り]
Recently there has been much attention devoted to exploring the complicated possibly chaotic dynamics in pseudoperiodic time series. Two methods [Zhang et al., Phys. Rev. E 73, 016216 (2006); Zhang and Small, Phys. Rev. Lett. 96, 238701 (2006)] ha...
INTERNATIONAL JOURNAL OF BIFURCATION AND CHAOS 16(12) 3581-3603 2006年12月 [査読有り]
Recently, a new surrogate method, the Small-Shuffle (SS) surrogate method, has been proposed to investigate whether there is some kind of dynamics in irregular fluctuations, even if they are modulated by long term trends or periodicities. This sit...
In this paper we consider the problem of whether a nonlinear system has dynamic noise and then estimate the level of dynamic noise to add to any model we build. The method we propose relies on a nonlinear model and an improved least squares method...
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